A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution

Arbeitspapier

Calculating a large number of tail probabilities or tail quantiles for a given distribution families becomes very challenging, if both the cumulative and the inverse distribution function are not available in closed form. In case of the Gaussian and Student t distribution, quantile approximations are already available. This is not the case for the (symmetric) generalized hyperbolic distribution (GHD) whose popularity steadily increases and which includes both Gaussian and Student t as limiting case. Within this paper we close this gap and derive one possible tail approximation formula for the GHD as well as for the Student t distribution.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IWQW Discussion Papers ; No. 05/2009

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Generalized hyperbolic distribution ; Quantile approximation ; Student t distribution ; Statistische Verteilung ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schlüter, Stephan ; Fischer, Matthias J.
• Ereignis: Veröffentlichung
• (wer): Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
• (wo): Nürnberg
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/29554
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ